[R] undesirable arima() return code "feature"

Hiroyuki Kawakatsu hkawakat at qub.ac.uk
Wed Aug 4 10:23:25 CEST 2004


the return value 'code' from optim in arima() does not match the warning
message code if
(method != "CSS") && (tranform.pars==TRUE) && (final iteration MA estimate
is not invertible)

(res in the source code is overwritten by a re-fitting with invertible MA
estimates.) is this a desirable feature?

#---sample code (r-1.9.1)---

y <- rnorm(10);
out <- arima(y, c(0,0,1), method="ML", optim.control=list(maxit=3) );
print( paste("out$code =", out$code) );


Hiroyuki Kawakatsu
School of Management and Economics
25 University Square
Queen's University, Belfast
Belfast BT7 1NN
Northern Ireland
United Kingdom
Tel +44 (0)28 9097 3290
Fax +44 (0)28 9033 5156

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